Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 8 10 9
Score 3.96 8.94 5.8
Market Cap (Millions USD) 981.87 949.94 909.63
Predicted Beta 1.5 1.45 1.48
Idiosyncratic Volatility 5.39 4.9 7.25

Annualized return and volatility

IDU
Annualized Return 0.0780
Annualized Std Dev 0.1779
Annualized Sharpe (Rf=0%) 0.4383

Row

Daily Return Statistics

IDU
Observations 4994.0000
NAs 120.0000
Minimum -0.0870
Quartile 1 -0.0049
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0062
Maximum 0.0971
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0112
Skewness -0.1290
Kurtosis 8.7791

Downside Risk

IDU
Semi Deviation 0.0082
Gain Deviation 0.0076
Loss Deviation 0.0087
Downside Deviation (MAR=210%) 0.0129
Downside Deviation (Rf=0%) 0.0080
Downside Deviation (0%) 0.0080
Maximum Drawdown 0.5388
Historical VaR (95%) -0.0170
Historical ES (95%) -0.0270
Modified VaR (95%) -0.0165
Modified ES (95%) -0.0262
From Trough To Depth Length To Trough Recovery
2000-12-29 2002-10-09 2005-06-22 -0.5388 1145 452 693
2007-12-11 2009-03-09 2012-06-18 -0.4778 1157 320 837
2015-01-30 2015-09-04 2016-03-08 -0.1620 283 155 128
2017-11-15 2018-02-08 2018-10-19 -0.1530 238 59 179
2016-07-07 2016-11-11 2017-03-22 -0.1208 181 92 89

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IDU
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA 0.0 0.0 0.5 0.0 1.5 -0.4 0.0 1.7
2001 -1.3 0.6 0.0 -0.3 -0.8 0.0 0.7 0.0 0.4 -0.1 0.0 0.0 -0.7
2002 0.7 1.4 -0.7 0.1 0.0 -2.1 -2.0 0.0 2.7 0.3 0.0 0.0 0.4
2003 0.0 0.0 0.8 -0.7 0.0 -0.4 -1.4 0.0 0.7 0.0 0.8 0.0 -0.2
2004 0.0 1.0 0.4 0.0 -0.5 -0.9 0.0 0.2 0.8 0.6 -0.6 0.0 1.1
2005 0.9 0.5 0.4 0.0 1.0 1.0 -1.0 1.3 0.0 -1.8 0.9 0.0 3.3
2006 0.1 -0.1 0.0 -0.7 1.2 0.0 1.0 0.0 0.0 0.5 0.4 0.0 2.3
2007 0.8 0.4 0.0 1.0 -0.4 0.0 2.6 0.0 1.5 -1.9 0.0 0.0 4.0
2008 1.6 0.0 2.2 1.0 0.0 0.6 -2.5 0.0 0.9 0.0 -6.7 0.0 -3.1
2009 0.0 0.0 -0.2 2.0 3.3 1.6 0.0 -0.8 -1.8 0.0 1.6 0.0 5.7
2010 0.8 1.2 1.1 0.0 -2.2 -0.3 0.0 2.3 0.7 -0.9 1.2 0.0 3.9
2011 1.1 -0.7 0.7 0.0 -1.0 1.2 0.3 -0.4 0.0 -2.2 0.0 0.0 -1.0
2012 0.4 0.2 0.0 0.5 -0.5 0.0 -0.8 0.0 -0.4 -0.8 0.0 0.0 -1.4
2013 0.4 0.2 -0.2 -1.1 0.0 -1.3 0.9 0.0 0.4 0.6 0.0 0.0 -0.1
2014 0.0 0.0 -0.6 0.4 0.0 -0.9 0.4 0.0 0.4 0.0 0.0 0.0 -0.4
2015 0.0 0.0 0.1 0.5 0.2 0.5 0.0 -2.7 -1.1 0.0 0.7 0.0 -1.9
2016 1.0 -0.4 0.5 0.0 0.3 -0.1 -0.1 -0.4 0.0 -1.9 -0.8 0.0 -1.8
2017 -1.8 -0.8 0.0 -0.5 0.7 0.0 0.5 -0.2 0.0 -0.7 -0.4 0.0 -3.1
2018 -1.6 0.1 0.0 -0.3 -1.5 0.0 -0.8 0.0 -0.4 -0.3 0.0 0.0 -4.7
2019 -0.3 0.3 -0.6 -1.0 0.0 -0.2 0.9 0.0 -0.3 -0.2 0.0 0.1 -1.3

Row

Rolling Performance Chart

Snail Trail Chart